Price formation and liquidity in the U.S. Treasury market
Subtitle: evidence from intraday patterns around announcements
By: Michael J. Fleming, Eli M. Remolona.
Contributors: Remolona, Eli M.; Federal Reserve Bank of New York.
Series: Staff reports ;; no. 27; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 27.
Publisher: Federal Reserve Bank of New York
Published: 1997
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Treasury bills -- Prices -- United States -- Econometric models.
Description: "We identify striking adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S.  Treasury market when public information arrives.  Using newly available high-frequency data, we find a notable lack of trading volume upon a major announcement when prices are most volatile.  The bid-ask spread widens dramatically with price volatility and narrows just as dramatically with trading volume.  Trading volume surges only after an appreciable lag following the announcement.  High levels of price volatility and trading volume then persist, with volume persisting somewhat longer"--Federal Reserve Bank of New York web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 1/31/2005.
Also available in print.
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Mode of access: World Wide Web.